Consider the fact that there are some things that any player pretty much must do in a game:
1. Build a military. With this, Sun Tzu's is a huge wonder to have since veteran units will keep the civ protected better and give an edge for those heading for conquest. The AI won't allow for the 'ol "one warrior in each city" style.
2. Upgrade that military. Again, Sun Tzu is huge for citites on the same continent. Here as well, Leonardo's comes into play. It will ALWAYS be necessary to upgrade units throughout the game - some units several times (spearmen -> pikemen -> musketmen -> riflemen -> infantry). This holds for catapults, mounted military, ships, etc. Leonardo's can save you BIG cash money.
3. Build a temple. While in several of my cities I will build cathedrals as well, I find it a must to have temples in every city. And while it's effects go obsolete relatively early, the Oracle can be a huge boost in the beginning if you can build or capture it. To this end, Bach's can replace the Oracle with its effects.
4. Fight corruption. I know it's a SMALL wonder, but it's probably the one wonder you almost NEED to build as soon as possible. It's likely the one the people have build most with leaders as well. Of course, I'm talking about the Forbidden Palace. Either in a spot on the other end of a home continent or on a secodary continent this "small" wonder can make ALL the difference. Doesn't seem all that small to me.
5. Fight pollution. Workers can do just so much, and automating them can turn them dumb as trees - even if you just have them set to cleaning. Hoover Dam will give you a great leg-up on this problem.
6. Stop the AI from winning diplomatically. Gotta build the UN.
Two final thoughts -
The Great Library can certainly be forgone on early levels, but at the higher ones it gains a great deal of value. Even with trading/buying, the AI is very savvy and you'll still fall way behind in techs without it - unless you are able to go and TAKE them
The most success I've had in games involves cracking the despotic whip early and rushing bunches of things from temples, to libraries, to military. The Pyramids are great with this strategy as recovery time is much less. However, I'd rather go and capture it rather than spend the shields if I can. Becomes a problem if it gets build on a distant continent - which is why I try to get masonry to my close neighbors ASAP.
Less useful wonders to me:
The Great Wall. With 50% effectiveness to walls and obsolete with metallurgy, not high on my list. I rarely build walls anyway as they are only needed up to size 6.
I'm probably in the minority in this, but I'm not as hot-to-trot for a science city these days. I find that in a democracy, with libraries and universities built (as I try to increase culture), that my time to get techs is around 4 turns with minimal cash going into science. I've heard of people getting to 3 turns, but 4 seems to be a pretty solid threshold. Colossus is nice, but I'm not sure that the Observatory and Newton's are the all-important go-for's they used to be for me. Perhaps if your civ is smaller it can help you to keep pace....
Depending on the map, Magellan's is also a bit weaker than it used to be. The Lighthouse is nice because it gives the early ships an extra movement while ALSO keep them from sinking. Magellan now only adds one extra movement, and the ships you'll have then will not be in danger of sinking anyway. It's almost a watered-down Lighthouse - though it will not become obsolete. Perhaps on the larger maps with plenty of H2O.
I'll also forget about Shake's now. With units outside of cities NOT causing unhappiness like in Civ2, there almost seems to be no reason for building it. If you have a city that need's to make 8 unhappy people content, then there is something wrong with that city and it's likely only producing a shield or two per turn anyway. Better to get some improvements like temples, cathedrals, colosseums, etc and make sure it has luxury access.